lots of night markets all over KL. The Bahasa word for them is pasar malam, so look for that on signposts and in local papers.
here's a basic site with a guide to the most popular markets:
As with all crowded places, keep a close eye on your valuables. Leave them back in the hotel safe if you can. A money belt is a good idea for passports and credit cards, and just keep a bit of spending money in a pocket (you won't need much, food and drink is pretty cheap).
Phil over 9 years ago